Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0216 |
| Annualized Std Dev | 0.1291 |
| Annualized Sharpe (Rf=0%) | -0.1671 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3344.0000 |
| NAs | 1.0000 |
| Minimum | -0.1451 |
| Quartile 1 | -0.0023 |
| Median | 0.0002 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0025 |
| Maximum | 0.1127 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0001 |
| Stdev | 0.0081 |
| Skewness | -0.5197 |
| Kurtosis | 60.5107 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0059 |
| Gain Deviation | 0.0066 |
| Loss Deviation | 0.0074 |
| Downside Deviation (MAR=210%) | 0.0111 |
| Downside Deviation (Rf=0%) | 0.0059 |
| Downside Deviation (0%) | 0.0059 |
| Maximum Drawdown | 0.4621 |
| Historical VaR (95%) | -0.0096 |
| Historical ES (95%) | -0.0197 |
| Modified VaR (95%) | -0.0047 |
| Modified ES (95%) | -0.0047 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-19 | 2009-03-09 | NA | -0.4621 | 3335 | 305 | NA |
| 2007-12-11 | 2007-12-12 | 2007-12-18 | -0.0033 | 6 | 2 | 4 |
| 2007-12-06 | 2007-12-06 | 2007-12-10 | -0.0025 | 3 | 1 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | 0 |
| 2008 | -0.1 | -0.4 | -0.6 | 0.7 | 0.7 | -0.9 | -0.6 | 0.4 | -0.2 | -0.8 | -2.1 | 4.6 | 0.6 |
| 2009 | -0.4 | -0.7 | -1.9 | -0.3 | 1 | -2.2 | 0.9 | -1.5 | -3.2 | -0.5 | -0.6 | -0.3 | -9.5 |
| 2010 | -0.7 | -0.6 | -0.7 | 0.2 | -1.6 | -0.2 | 0 | 0 | -0.4 | -1.1 | 0.1 | 0.2 | -4.8 |
| 2011 | -0.4 | -1.1 | -0.7 | 0.2 | -1.4 | 0.1 | -0.2 | -0.8 | -2 | -2.3 | -0.5 | -0.1 | -8.8 |
| 2012 | -0.2 | -0.5 | -0.3 | -0.3 | -1.4 | 0.7 | -0.3 | 0.3 | -0.6 | -0.2 | 0.3 | 0.4 | -2 |
| 2013 | -0.2 | -0.2 | -0.4 | -0.6 | -1.2 | -0.1 | -1.2 | -0.1 | -0.3 | -0.5 | 0.2 | 0.1 | -4.3 |
| 2014 | 0 | 0.2 | -0.4 | -0.4 | 0 | -0.4 | -0.7 | 0 | -0.2 | 0 | -1.2 | -0.4 | -3.6 |
| 2015 | -0.2 | 0.1 | -0.2 | -0.3 | -0.5 | -0.3 | -0.1 | -0.9 | -0.8 | 0 | -0.1 | 0 | -3.2 |
| 2016 | -1.2 | 1.3 | -0.3 | 0.2 | -0.5 | -0.4 | -1.1 | -0.3 | 0.4 | -0.8 | -0.9 | 0.1 | -3.5 |
| 2017 | -0.2 | -0.1 | -0.1 | -0.5 | -0.3 | 0.2 | -0.3 | -0.4 | 0.1 | -0.5 | -0.5 | 0.2 | -2.5 |
| 2018 | -0.7 | -0.9 | 0.2 | -0.5 | -0.3 | -0.2 | -0.4 | 0.1 | -0.2 | -0.1 | -0.3 | 0.1 | -3 |
| 2019 | -0.5 | -0.3 | -0.4 | -0.8 | -0.7 | -0.5 | -0.5 | -0.1 | -0.7 | 0 | -0.2 | 0.1 | -4.4 |
| 2020 | -0.5 | 0.3 | -3.2 | -2.1 | 0.2 | -0.2 | 0.1 | 0.1 | -0.1 | 0.2 | 0 | 0.1 | -4.9 |
| 2021 | 0 | 0.6 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-12-04 144. SPY 146. -0.0089 0.0266 -0.032 -9.70e-3 0.0438 0.226 0.555 GLD 79.4 0.0143 -0.0087
2 2007-12-05 144. SPY 149. 0.0167 0.0114 -0.0083 4.60e-3 0.0532 0.248 0.602 GLD 78.6 -0.0097 -0.0118
3 2007-12-06 143. SPY 151. 0.0143 0.0255 -0.0074 3.33e-2 0.0637 0.266 0.633 GLD 79.4 0.0094 0.0139
4 2007-12-07 143. SPY 151. -0.0002 0.0151 0.0203 3.51e-2 0.0644 0.278 0.651 GLD 78.6 -0.0097 0.0166
5 2007-12-10 144. SPY 152. 0.0078 0.0298 0.0334 3.11e-2 0.0774 0.280 0.652 GLD 80 0.0178 0.022
6 2007-12-11 144. SPY 148. -0.0274 0.0106 0.0191 3.00e-4 0.0459 0.241 0.653 GLD 78.8 -0.0145 -0.0071
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
